Open keychain access, go to preferences, and have it show the status in the menu bar. The icon will be there, just click on lock screen under its menu. A screen saver might start, but it will prompt you for your password to be able to access it again.

there are many ways that are explained above but i like this the best. tick "Enable fast user switching" in Login Options in Accounts preferences. then click the icon in the menu bar and click "Login Window". this takes you to the login screen and saves your current session to RAM so you can resume instantly after the block effect!

The easiest way I have found is to set the computer to require a password to wake up from sleep. You can then hit the power button (easier on a laptop than the desktop) and then hit the S key for Sleep.

Though there isn't anything listed here to answer your question, I have found this keyboard shortcut list to be a very valuable reference.

there's a widget that locks your comp and sends you to the login screen...but keeps all your applications set...i'm sure that is what it does...try it out...
i have that widget but only used it once...as i just prefer to have my screen saver to pop up as i have it prompt for password once screen saver is on...

Another option, and one most like the Windows functionality you are describing, is to use the keychain.

Open up Keychain Access in Applications -> Utilities
In Preferences, select Show Status in Menu Bar

The lock icon will now show in your menu bar with the top option in the pulldown being Lock Screen.

This is my preference because I don't like having to enter in a password every time I'm at home waking my computer from sleep or bringing it out of a screen saver. But it gives me the opportunity to bring up the screen saver in locked mode on an individual case basis without adjusting system preferences.

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